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非平稳面板的非参数秩检验AI 解读

We develop a set of nonparametric rank tests for non-stationary panels based on multivariate variance ratios which use untruncated kernels. As such, the tests do not require the choice of tuning parameters associated with bandwidth or lag length and also do not require choices with respect to numbers of common factors. The tests allow for unrestricted cross-sectional dependence and dynamic heterogeneity among the units of the panel, provided simply that a joint functional…

无限维因子空间动态因子模型的单边表示AI 解读

Factor model methods recently have become extremely popular in the theory and practice of large panels of time series data. Those methods rely on various factor models which all are particular cases of the Generalized Dynamic Factor Model (GDFM) introduced in Forniet al. (2000). That paper, however, rests on Brillinger’s dynamic principal components. The corresponding estimators are two-sided filters whose performance at the end of the observation period or for forecasting…

递归去趋势对面板单位根检验的影响AI 解读

This paper analyzes the properties of panel unit root tests based on recursively detrended data. The analysis is conducted while allowing for a (potentially) non-linear trend function, which represents a more general consideration than the current state of affairs with (at most) a linear trend. A new test statistic is proposed whose asymptotic behavior under the unit root null hypothesis, and the simplifying assumptions of a polynomial trend and iid errors are shown to be…

PANIC面板单位根检验的功效AI 解读

The current paper considers the asymptotic local power of second-generation panel unit root tests that are robust to the presence of cross-section dependence in the form of common factors. As a basis for our analysis, we take the PANIC approach of Bai and Ng (2004, 2010), which is one of the single most popular and general second-generation approaches around.

巴黎住房特征价格：含嵌套随机效应的非平衡空间滞后伪面板模型AI 解读

Summary This paper estimates a hedonic housing model based on flats sold in the city of Paris over the period 1990–2003. This is done using maximum likelihood estimation, taking into account the nested structure of the data. Paris is historically divided into 20 arrondissements , each divided into four quartiers (quarters), which in turn contain between 15 and 169 blocks ( îlot , in French) per quartier . This is an unbalanced pseudo‒panel data containing 156,896…

含纵向协变量的扩展风险率模型AI 解读

In clinical trials and other medical studies, it has become increasingly common to observe simultaneously an event time of interest and longitudinal covariates. In the literature, joint modelling approaches have been employed to analyse both survival and longitudinal processes and to investigate their association. However, these approaches focus mostly on developing adaptive and flexible longitudinal processes based on a prespecified survival model, most commonly the Cox…

信息性响应缺失下线性混合效应模型的变换方法AI 解读

We consider a linear mixed-effects model in which the response panel vector has missing components and the missing data mechanism depends on observed data as well as missing responses through unobserved random effects. Using a transformation of the data that eliminates the random effects, we derive asymptotically unbiased and normally distributed estimators of certain model parameters. Estimators of model parameters that cannot be estimated using the transformed data are…

纵向数据比例似然比模型的矩型估计量AI 解读

Luo & Tsai, Biometrika99, 211–22, 2012, proposed a proportional likelihood ratio model and discussed a maximum likelihood method for its parameter estimation. In this paper, we use this model as the marginal distribution to analyse longitudinal data, where the maximum likelihood method is not directly applicable because the joint distribution is not fully specified. We propose a moment-type method that is an extension of the generalized estimating equation method. The…

通过稀疏化二元分割检测高维时间序列的多个变点AI 解读

Summary Time series segmentation, which is also known as multiple-change-point detection, is a well-established problem. However, few solutions have been designed specifically for high dimensional situations. Our interest is in segmenting the second-order structure of a high dimensional time series. In a generic step of a binary segmentation algorithm for multivariate time series, one natural solution is to combine cumulative sum statistics obtained from local periodograms…

空间误差动态面板模型的准极大似然估计AI 解读

We propose quasi maximum likelihood (QML) estimation of dynamic panel models with spatial errors when the cross-sectional dimension n is large and the time dimension T is fixed. We consider both the random effects and fixed effects models, and prove consistency and derive the limiting distributions of the QML estimators under different assumptions on the initial observations. We propose a residual-based bootstrap method for estimating the standard errors of the QML…

Bottazzi and Peri (Economic Journal 2007; 117: 486–511) show the existence of a cointegrating relationship between the domestic stock of knowledge, domestic R&D and the international knowledge stock for a panel of OECD countries and interpret it as evidence supporting the semi-endogenous versus the endogenous growth theory. We replicate the baseline specification of their study and we show that main results are robust to the use of a different estimation strategy (Bai et…

含样本选择的乘法误差模型AI 解读

This paper presents a simple approach to deal with sample selection in models with multiplicative errors. Models for non-negative limited dependent variables such as counts fit this framework. The approach builds on a specification of the conditional mean of the outcome only and is, therefore, semiparametric in nature. GMM estimators are constructed for both cross-section data and for panel data. We derive distribution theory and present Monte Carlo evidence on the…

均衡数量的非参数推断AI 解读

This paper proposes an estimator and develops an inference procedure for the number of roots of functions that are non‐parametrically identified by conditional moment restrictions. It is shown that a smoothed plug‐in estimator of the number of roots is superconsistent under i.i.d. asymptotics, but asymptotically normal under non‐standard asymptotics. The smoothed estimator is furthermore asymptotically efficient relative to a simple plug‐in estimator. The procedure proposed…

非可忽略单调缺失纵向数据的灵活贝叶斯方法及精神分裂症试验应用AI 解读

We develop a Bayesian nonparametric model for a longitudinal response in the presence of nonignorable missing data. Our general approach is to first specify a working model that flexibly models the missingness and full outcome processes jointly. We specify a Dirichlet process mixture of missing at random (MAR) models as a prior on the joint distribution of the working model. This aspect of the model governs the fit of the observed data by modeling the observed data…

变指标系数模型AI 解读

It has been a long history of using interactions in regression analysis to investigate alterations in covariate-effects on response variables. In this article, we aim to address two kinds of new challenges arising from the inclusion of such high-order effects in the regression model for complex data. The first kind concerns a situation where interaction effects of individual covariates are weak but those of combined covariates are strong, and the other kind pertains to the…

纵向研究的均值、方差与相关联合建模AI 解读

Summary In longitudinal studies, it is of fundamental importance to understand the dynamics in the mean function, variance function and correlations of the repeated or clustered measurements. For modelling the covariance structure, Cholesky-type decomposition-based approaches have been demonstrated to be effective. However, parsimonious approaches for directly revealing the correlation structure between longitudinal measurements remain less well explored, and existing joint…

重复测量与事件时间结局的联合建模：灵活设定与精确似然推断AI 解读

Summary Random effects or shared parameter models are commonly advocated for the analysis of combined repeated measurement and event history data, including dropout from longitudinal trials. Their use in practical applications has generally been limited by computational cost and complexity, meaning that only simple special cases can be fitted by using readily available software. We propose a new approach that exploits recent distributional results for the extended skew…

含可分离与不可分离时空滤波的固定效应面板模型估计AI 解读

This paper considers a quasi-maximum likelihood estimation for a linear panel data model with time and individual fixed effects, where the disturbances have dynamic and spatial correlations which might be spatially stable or unstable. We first consider both separable and nonseparable space–time filters for the stable model. The separable space–time filter is subject to a parametric restriction which results in relative computational simplicity. In contrast to the spatial…

面板广义线性模型中时间不变未观测异质性的检验AI 解读

Recent literature on panel data emphasizes the importance of accounting for time-varying unobservable individual effects, which may stem from either omitted individual characteristics or macro-level shocks that affect each individual unit differently. In this paper, we propose a simple specification test of the null hypothesis that the individual effects are time-invariant against the alternative that they are time-varying. Our test is an application of Hausman (1978)…

异质面板中因子结构的推断AI 解读

This paper develops an estimation and testing framework for a stationary large panel model with observable regressors and unobservable common factors. We allow for slope heterogeneity and for correlation between the common factors and the regressors. We propose a two stage estimation procedure for the unobservable common factors and their loadings, based on Common Correlated Effects estimator and the Principal Component estimator. We also develop two tests for the null of no…

The power of standard panel cointegration statistics may be affected by misspecification errors if structural breaks in the parameters generating the process are not considered. In addition, the presence of cross-section dependence among the panel units can distort the empirical size of the statistics. We therefore design a testing procedure that allows for both structural breaks and cross-section dependence when testing the null hypothesis of no cointegration. The paper…

高维横截面检验的功效增强AI 解读

= 0 against sparse alternatives where the null hypothesis is violated only by a couple of components. Existing tests based on quadratic forms such as the Wald statistic often suffer from low powers due to the accumulation of errors in estimating high-dimensional parameters. More powerful tests for sparse alternatives such as thresholding and extreme-value tests, on the other hand, require either stringent conditions or bootstrap to derive the null distribution and often…

因子数未知时含交互固定效应的线性面板回归AI 解读

In this paper we study the least squares (LS) estimator in a linear panel regression model with unknown number of factors appearing as interactive fixed effects. Assuming that the number of factors used in estimation is larger than the true number of factors in the data, we establish the limiting distribution of the LS estimator for the regression coefficients as the number of time periods and the number of cross-sectional units jointly go to infinity. The main result of the…

多国公司治理研究方法：来自BRIKT国家的证据AI 解读

We discuss empirical challenges in multicountry studies of the effects of firm-level corporate governance on firm value, focusing on emerging markets. We assess the severe data, “construct validity”, and endogeneity issues in these studies, propose methods to respond to those issues, and apply those methods to a study of five major emerging markets—Brazil, India, Korea, Russia, and Turkey. We develop unique time-series datasets on governance in each country. We address…